calcEAD

trades

Specifies the regulatory framework used in the calculations. It can take the values of 'IMM', 'CEM', 'SA-CCR'

framework

The margin agreement with the counterparty

A vector containing the effective expected exposure against the counterparty

The timepoints that the analysis is performed on

time_points


Calculates the Exposure-At-Default (EAD) based on the given regulatory framework. It supports the CEM, SA-CCR and IMM frameworks


Calculates a number of valuation adjustments including CVA, DVA,
FBA, FCA, MVA and KVA. A two-way margin agreement has been implemented. For
the KVA calculation three regulatory frameworks are supported: CEM, SA-CCR and
IMM. The probability of default is implied through the credit spreads curve.
Currently, only IRSwaps are supported.

calcEAD: Calculates the Exposure-At-Default (EAD)

Description

Usage

Arguments

Value